Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 3 |
| Score | -0.22 | -0.6 | -0.57 |
| Market Cap (Millions USD) | 89.03 | 89.22 | 87.81 |
| Predicted Beta | 0.85 | 0.85 | 0.85 |
| Idiosyncratic Volatility | 1.41 | 1.32 | 2.21 |
Annualized return and volatility
| DGT | |
|---|---|
| Annualized Return | 0.0252 |
| Annualized Std Dev | 0.1881 |
| Annualized Sharpe (Rf=0%) | 0.1341 |
Row
Daily Return Statistics
| DGT | |
|---|---|
| Observations | 4919.0000 |
| NAs | 194.0000 |
| Minimum | -0.0870 |
| Quartile 1 | -0.0046 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0054 |
| Maximum | 0.0775 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.2491 |
| Kurtosis | 6.2902 |
Downside Risk
| DGT | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0095 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.5536 |
| Historical VaR (95%) | -0.0186 |
| Historical ES (95%) | -0.0292 |
| Modified VaR (95%) | -0.0186 |
| Modified ES (95%) | -0.0329 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2014-04-01 | -0.5536 | 1643 | 348 | 1295 |
| 2000-10-05 | 2002-10-09 | 2007-01-24 | -0.4630 | 1609 | 511 | 1098 |
| 2015-05-19 | 2016-02-11 | 2016-12-08 | -0.2139 | 400 | 189 | 211 |
| 2018-01-30 | 2018-12-24 | 2019-11-25 | -0.1940 | 467 | 232 | 235 |
| 2014-07-25 | 2014-10-16 | 2015-04-15 | -0.0934 | 187 | 60 | 127 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | DGT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 | 1.8 | 0.0 | 4.4 |
| 2001 | 0.4 | 0.0 | 0.0 | 0.4 | 0.7 | 0.0 | 0.1 | 0.0 | -0.3 | 0.0 | 0.0 | 0.0 | 1.3 |
| 2002 | 0.0 | 1.8 | -1.2 | 0.6 | 0.0 | -1.2 | -1.4 | 0.0 | -0.4 | 0.0 | 0.0 | 0.0 | -2.0 |
| 2003 | 0.0 | 0.0 | 1.0 | -0.4 | 0.0 | 0.0 | -1.1 | 0.0 | 2.3 | 0.0 | 1.3 | 0.0 | 3.0 |
| 2004 | 0.0 | 0.7 | 0.6 | 0.0 | -0.6 | -0.7 | 0.0 | 0.2 | 1.4 | -0.2 | 1.0 | 0.0 | 2.3 |
| 2005 | 0.2 | 0.1 | -0.6 | 0.0 | -0.7 | -0.3 | 0.1 | 1.0 | 0.0 | -0.5 | 1.1 | 0.0 | 0.5 |
| 2006 | 0.3 | 0.5 | 0.0 | -0.3 | 0.9 | 0.0 | -0.6 | 0.4 | 0.0 | -0.1 | -0.5 | 0.0 | 0.6 |
| 2007 | 0.5 | -3.0 | 0.0 | 0.1 | 0.1 | 0.0 | 0.4 | 0.0 | 0.9 | -2.5 | 0.0 | 0.0 | -3.5 |
| 2008 | 1.7 | 0.0 | 3.4 | 1.3 | 0.0 | -0.4 | -1.5 | 0.0 | -0.4 | 0.0 | -4.8 | 0.0 | -0.9 |
| 2009 | 0.0 | 0.0 | 1.2 | 1.0 | 2.9 | 0.9 | 0.0 | -1.8 | -2.4 | 0.0 | 1.7 | 0.0 | 3.4 |
| 2010 | 1.4 | 0.3 | 0.6 | 0.0 | -0.7 | 0.1 | 0.0 | 2.9 | 0.8 | -0.5 | 2.1 | 0.0 | 7.2 |
| 2011 | 2.1 | -0.9 | 0.6 | 0.0 | -1.3 | 1.4 | -1.1 | -0.6 | 0.0 | -2.8 | -0.6 | 0.0 | -3.2 |
| 2012 | 1.7 | 0.7 | 0.0 | 0.5 | -2.3 | 0.0 | -0.1 | 0.0 | 0.6 | 1.4 | 0.0 | 0.0 | 2.6 |
| 2013 | 0.9 | -0.4 | -0.7 | -1.0 | 0.0 | 1.0 | 1.5 | 0.0 | 0.8 | -0.3 | 0.0 | 0.0 | 1.8 |
| 2014 | 0.0 | 0.0 | 1.1 | 0.6 | 0.0 | 0.7 | -0.8 | 0.0 | -1.6 | 0.0 | -1.1 | 0.0 | -1.2 |
| 2015 | 0.0 | 0.0 | -0.6 | 0.3 | 0.6 | 0.1 | 0.0 | -2.8 | 0.0 | 0.0 | 0.8 | 0.0 | -1.7 |
| 2016 | 1.2 | 1.8 | -0.2 | 0.0 | -0.2 | 1.4 | 0.0 | 0.3 | 0.0 | -1.0 | -0.7 | 0.0 | 2.7 |
| 2017 | 0.3 | 1.3 | 0.0 | -0.1 | 0.4 | 0.0 | 0.9 | 0.0 | 0.0 | 0.6 | -0.5 | 0.0 | 2.9 |
| 2018 | 0.6 | -1.5 | 0.0 | 0.0 | 0.7 | 0.0 | 0.0 | 0.0 | 0.4 | 0.5 | 0.0 | 0.0 | 0.6 |
| 2019 | -0.1 | 0.3 | 1.5 | -0.6 | 0.0 | 0.7 | -0.7 | 0.0 | -1.1 | 1.1 | 0.0 | -0.1 | 1.0 |
Row
Rolling Performance Chart
Snail Trail Chart
